For our analysis we make use of a bivariate series composed
by daily absolute returns and realized kernel volatilities, \(\left(\left|r_{t}\right|,rv_{t}\right)\) .
We take the data from the Oxford Man Institute “Realized Library”
([1]}) and we express them in annualized
percentage terms through the transformation:
\(x_{t}^{AP}=100\sqrt{252}x_{t}.\) 
